Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 9 8 9
Score 5.14 3.89 6.34
Market Cap (Millions USD) 1923.9 1899.57 2169.19
Predicted Beta 0.47 0.47 0.47
Idiosyncratic Volatility 1.99 1.93 2.02

Annualized return and volatility

IXJ
Annualized Return 0.0730
Annualized Std Dev 0.1660
Annualized Sharpe (Rf=0%) 0.4396

Row

Daily Return Statistics

IXJ
Observations 4630.0000
NAs 484.0000
Minimum -0.0947
Quartile 1 -0.0044
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0003
Quartile 3 0.0057
Maximum 0.1163
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0105
Skewness -0.1052
Kurtosis 10.1528

Downside Risk

IXJ
Semi Deviation 0.0076
Gain Deviation 0.0073
Loss Deviation 0.0081
Downside Deviation (MAR=210%) 0.0124
Downside Deviation (Rf=0%) 0.0074
Downside Deviation (0%) 0.0074
Maximum Drawdown 0.4060
Historical VaR (95%) -0.0161
Historical ES (95%) -0.0250
Modified VaR (95%) -0.0150
Modified ES (95%) -0.0217
From Trough To Depth Length To Trough Recovery
2007-05-08 2009-03-09 2011-04-26 -0.4060 1018 474 544
2001-11-27 2002-07-23 2005-04-13 -0.3187 866 167 699
2015-08-06 2016-02-11 2017-06-19 -0.1878 477 133 344
2011-06-01 2011-08-10 2012-03-13 -0.1651 200 50 150
2018-10-02 2018-12-24 2019-07-02 -0.1445 191 59 132

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IXJ
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA 0.0 0 NA
2002 1.3 0.4 0.0 0.6 0.0 -4.3 -0.5 0.0 2.2 -0.3 0.0 0 -0.9
2003 0.0 0.0 1.2 0.4 0.0 0.7 -1.4 0.0 0.6 0.0 1.4 0 2.8
2004 0.0 0.7 1.1 0.0 0.2 -0.7 0.0 0.1 0.2 -0.4 1.1 0 2.3
2005 -0.4 1.5 0.0 0.0 0.8 0.3 0.0 1.1 0.0 -0.3 1.0 0 4.0
2006 0.1 0.4 0.0 -0.1 1.4 0.0 0.1 0.3 0.0 -0.4 -0.1 0 1.7
2007 0.7 -0.7 0.0 -0.1 0.0 0.0 0.2 0.0 1.2 -1.2 0.0 0 0.1
2008 0.4 0.0 2.4 1.9 0.0 0.3 -0.3 0.0 0.5 0.0 -5.3 0 -0.3
2009 0.0 0.0 0.3 -0.7 1.2 0.0 0.0 -1.4 -1.8 0.0 1.3 0 -1.0
2010 0.7 0.5 0.5 0.0 -0.9 -0.5 0.0 2.4 0.4 -0.1 1.7 0 4.7
2011 2.0 -0.5 0.6 0.0 -1.4 1.0 -1.0 -0.5 0.0 -2.2 -0.2 0 -2.2
2012 0.8 0.4 0.0 0.7 -2.2 0.0 0.1 0.0 1.0 0.7 0.0 0 1.4
2013 0.7 0.6 -0.1 -1.0 0.0 1.0 0.7 0.0 0.7 0.3 0.0 0 2.9
2014 0.0 0.0 0.1 0.6 0.0 1.1 -0.1 0.0 -0.9 0.0 0.0 0 0.8
2015 0.0 0.0 -0.6 1.1 0.3 0.6 0.0 -2.8 0.7 0.0 1.5 0 0.7
2016 0.4 2.2 0.6 0.0 0.3 0.7 0.5 -0.3 0.0 -0.4 -1.0 0 2.9
2017 0.5 0.8 0.0 0.0 1.0 0.0 -0.2 0.2 0.0 0.3 -0.1 0 2.5
2018 -0.3 -1.4 0.0 -0.4 1.2 0.0 0.1 0.0 0.7 1.2 0.0 0 1.1
2019 0.2 1.2 0.3 -0.5 0.0 0.4 0.5 0.0 -1.1 0.3 0.0 0 1.3

Row

Rolling Performance Chart

Snail Trail Chart